Evaluating Portfolios in Energy Trading

Risk Professional, April 2011

3 Pages Posted: 27 Jun 2011

See all articles by Alessandro Mauro

Alessandro Mauro

MKS; University of Geneva - Geneva School of Economics and Management

Date Written: April 2011

Abstract

The article discusses the reasons why price discovery is crucial for evaluating portfolios and measure their risks. Gaps are identified and possible solutions are proposed.

Keywords: evaluation, risk management, risk measurement, energy, oil trading, price, price discovery, mark-to-market, forward curve, price normalization, price synchronization, Value-at-Risk, VaR

JEL Classification: G13

Suggested Citation

Mauro, Alessandro, Evaluating Portfolios in Energy Trading (April 2011). Risk Professional, April 2011, Available at SSRN: https://ssrn.com/abstract=1873223

University of Geneva - Geneva School of Economics and Management ( email )

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Bd du Pont-d'Arve 40
Geneva, 1211
Switzerland

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